Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0306
Annualized Std Dev 0.2356
Annualized Sharpe (Rf=0%) -0.1299

Row

Daily Return Statistics

Close
Observations 3600.0000
NAs 1.0000
Minimum -0.1592
Quartile 1 -0.0052
Median 0.0008
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0061
Maximum 0.1529
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0148
Skewness -0.6851
Kurtosis 18.3029

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0106
Loss Deviation 0.0131
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0111
Downside Deviation (0%) 0.0111
Maximum Drawdown 0.6457
Historical VaR (95%) -0.0210
Historical ES (95%) -0.0376
Modified VaR (95%) -0.0217
Modified ES (95%) -0.0308
From Trough To Depth Length To Trough Recovery
2007-05-09 2020-03-23 NA -0.6457 3492 3241 NA
2007-02-16 2007-03-05 2007-05-08 -0.0510 56 11 45
2006-12-08 2007-01-08 2007-02-08 -0.0239 41 19 22
2007-02-09 2007-02-13 2007-02-14 -0.0024 4 3 1
2006-12-04 2006-12-05 2006-12-07 -0.0020 4 2 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA 0.1 -0.7 -0.6
2007 -0.1 -1 -0.1 -0.1 0.2 0.5 -1.3 0.3 0.7 -1.5 1.6 0.8 -0.1
2008 -0.7 -1.8 2.8 1.4 0.2 0.1 0.4 -0.3 1.6 8.1 -7.7 4.2 8
2009 -1.4 -3.2 1.3 0.9 3.2 0.8 0.4 -0.4 -1.2 -4.1 0.1 0.6 -3.1
2010 2.2 -0.3 1.6 -1.6 -1.8 -1.1 2.1 1.2 0.6 -0.1 0.9 0.2 3.8
2011 1.3 -0.5 0.3 0.4 -0.8 0.5 1.1 -1.1 -3.5 -2.1 1 1.3 -2
2012 1.3 0.7 0.2 0.6 -2 2 0.4 0.3 0.6 1.8 -0.1 1.1 7.1
2013 0.3 0.3 0 -0.9 -1.4 1.3 1.4 0 2.1 0.4 0.4 -0.3 3.6
2014 -0.2 0.1 0.4 -0.4 0.8 1.1 -1 0.4 -0.5 0.9 -1.9 -1.6 -1.9
2015 -1.4 0.3 -0.3 0.6 0.4 1.1 0.1 -1.6 4.1 0.1 0.6 -0.3 3.9
2016 0.2 2.6 1.2 -1.1 0.9 0.5 0 -0.2 1.6 -0.7 -0.6 0 4.4
2017 0.6 0.5 -0.3 0.3 0.4 0.9 -0.1 0 0.7 -0.1 0.4 -0.1 3.3
2018 0.6 -1.5 1.2 0.5 0.7 0.3 0.2 -0.5 0.3 1.2 0.4 0.9 4.4
2019 -0.5 0.1 0.6 0.2 -1.7 0 -0.5 0.8 -0.1 0.6 -0.2 1.2 0.5
2020 -0.6 -3.9 -5 -2.1 1.1 0.5 0.2 0.6 0.7 -1.2 0.6 0 -9
2021 0.7 2 0.9 NA NA NA NA NA NA NA NA NA 3.6

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart